MET CS 563 Software Development with C++ for Mathematical Finance
Prereq: Previous programming experience with functions, CAS CS 111 recommended, CAS MA 226 or equivalent (or instructor’s consent)
In-depth discussion of object oriented programming with C++ for mathematical finance. Topics include: built-in-types, control structure, classes, constructors, destructors, function overloading, operator functions, friend functions, inheritance, polymorphism with dynamic binding. Case study: finite differences solutions for the basic models of financial derivatives; design and development of modular, scalable, maintainable software for modeling financial derivatives. Laboratory course. 4 cr
Note: Only students in MA in Mathematical Finance and MS in Actuarial Science will receive graduate credit for this course.